Assessment of Financial Systemic Crisis on a Causal and Reliable Perspective

Yafei Wang (), Zhengming Zhou and Xiao Cao ()
Additional contact information
Yafei Wang: School of Information Management and Engineering, Shanghai University of Finance and Economics, 200433, Shanghai, P. R. China
Zhengming Zhou: ��Financial Technology Department Postdoctoral Research Station of Bank of Communications 200000, Shanghai, P. R. China
Xiao Cao: ��School of Finance, Shanghai University of Finance and Economics, 200433, Shanghai, P. R. China

International Journal of Information Technology & Decision Making (IJITDM), 2025, vol. 24, issue 02, 651-677

Abstract: In financial network models, to assess systemic risk, a general understanding and prediction of precisely how a single financial institution is associated with systemic risk from the network perspective remains lacking. This paper proposes a framework for predicting and assessing system crises through inferring the cause–effect relationships between financial institutions and system state, which is structured in three steps: the assessment stage for system state based on the mean-variance framework, the prediction stage based on a Bayesian network and the reliability stage based on the Markov process. By applying them to monthly returns of financial institutions, it implies the need to pay attention to insurance and Broker sectors while regulating the banking system on the Bayesian network theory. Moreover, we find that the measure contains predictive power both during tranquil periods and during financial crisis periods. The results can be applied to derive interventions in financial crisis management with regard to systemic risk prediction and system state reliability.

Keywords: Financial crisis; system state; systemic risk prediction; Bayesian network; Markov process (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219622023500475
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijitdm:v:24:y:2025:i:02:n:s0219622023500475

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219622023500475

Access Statistics for this article

International Journal of Information Technology & Decision Making (IJITDM) is currently edited by Yong Shi

More articles in International Journal of Information Technology & Decision Making (IJITDM) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().